On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes (Q434340): Difference between revisions
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Revision as of 14:36, 18 April 2024
scientific article
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English | On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes |
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On the coupling property and the Liouville theorem for Ornstein-Uhlenbeck processes (English)
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10 July 2012
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The authors establish the existence of a successful coupling and the Liouville theorem for general Lévy driven Ornstein-Uhlenbeck processes. To this end they use a coupling for the weighted sum of independent random variables and the explicit expression of the transition semigroup of Ornstein-Uhlenbeck processes driven by compound Poisson processes. Furthermore, they derive the explicit coupling property of Ornstein-Uhlenbeck processes directly from the behaviour of the corresponding symbol or characteristic exponent. As a byproduct they derive gradient estimates for Ornstein-Uhlenbeck processes via the symbol.Various remarks on the connection to other articles and those on the optimality of the results round out the paper.
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Ornstein-Uhlenbeck process
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coupling property
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Liouville theorem
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gradient estimates
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Lévy process
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symbol
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strong Feller property
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